"Since 1900, September returns have, in fact, been negative (-1.1% on average, see Figure 4)," said JP Morgan's Tom Lee in a note to clients on Friday.

But that's not the whole story.

" [T]he performance of markets in September is substantially better when only focusing on years of "bull markets,"" added Lee. "As shown on Figure 4, during bull market years September gains are 0.6%, or 170bp better, with a win-ratio of 53% (980bp better). In other words, given the current bull market, history suggests that we should be a lot less worried about September."